"This paper presents a simple model of government reputation which captures two characteristics of policy outcomes in less developed countries: governments which betray public trust do so erratically, and, after a betrayal, public trust is regained only gradually"--Federal Reserve Bank of...

This paper surveys recent advances in the application of random dynamical systems theory in economics. It illustrates the usefulness of this framework for modeling and analysis of economic phenomena with stochastic components, mainly focusing on stochastic dynamic models in economic growth. The...

We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis of the contribution of demographic...

This paper applies regime switching methods to the problem of measuring monetary policy. Policy preferences and structural factors are specified parametrically as independent Markov processes. Interaction between the structural and preference parameters in the policy rule serves to identify the...

Many papers (including most of the papers in this issue of Computational Statistics) deal with Markov Chain Monte Carlo (MCMC) methods. This paper will give an introduction to the augmented Gibbs sampler (a special case of MCMC), illustrated using the random intercept model. A 'nonstandard'...

Exploring index of production data for six major UK manufacturing sectors, we investigate the interaction of the UK business cycle with changes in the industrial structure of the UK economy during the last three decades. We propose a Markov-switching vector equilibrium correction model with...